@aurox/ohlcv-helpers - npm Package Compare versions

Comparing version 0.3.1 to 0.4.0

dist/converters/pricePointListToOHLCV.js

@@ -36,3 +36,3 @@ "use strict";
         };
-        let pointsInRange = [];
+        const pointsInRange = [];
         avl.range(currentRangeStart, currentRangeEnd, node => {
@@ -39,0 +39,0 @@ if (node.data) {

dist/timeUnit.js

@@ -10,9 +10,16 @@ "use strict";
             switch (timeUnit.granularity) {
-                case 'second': return timeUnit.period === 1 ? 'S' : `${timeUnit.period}S`;
-                case 'minute': return `${timeUnit.period}`;
-                case 'hour': return `${timeUnit.period * 60}`;
-                case 'day': return timeUnit.period === 1 ? 'D' : `${timeUnit.period}D`;
-                case 'week': return timeUnit.period === 1 ? 'W' : `${timeUnit.period}W`;
-                case 'month': return timeUnit.period === 1 ? 'M' : `${timeUnit.period}M`;
-                case 'year': return `${timeUnit.period * 12}M`;
+                case 'second':
+                    return timeUnit.period === 1 ? 'S' : `${timeUnit.period}S`;
+                case 'minute':
+                    return `${timeUnit.period}`;
+                case 'hour':
+                    return `${timeUnit.period * 60}`;
+                case 'day':
+                    return timeUnit.period === 1 ? 'D' : `${timeUnit.period}D`;
+                case 'week':
+                    return timeUnit.period === 1 ? 'W' : `${timeUnit.period}W`;
+                case 'month':
+                    return timeUnit.period === 1 ? 'M' : `${timeUnit.period}M`;
+                case 'year':
+                    return `${timeUnit.period * 12}M`;
             }
@@ -22,9 +29,16 @@ throw new Error('Invalid granularity');
             switch (timeUnit.granularity) {
-                case 'second': return `${timeUnit.period}SEC`;
-                case 'minute': return `${timeUnit.period}MIN`;
-                case 'hour': return `${timeUnit.period}HRS`;
-                case 'day': return `${timeUnit.period}DAY`;
-                case 'week': return `${timeUnit.period * 7}DAY`;
-                case 'month': return `${timeUnit.period}MTH`;
-                case 'year': return `${timeUnit.period}YRS`;
+                case 'second':
+                    return `${timeUnit.period}SEC`;
+                case 'minute':
+                    return `${timeUnit.period}MIN`;
+                case 'hour':
+                    return `${timeUnit.period}HRS`;
+                case 'day':
+                    return `${timeUnit.period}DAY`;
+                case 'week':
+                    return `${timeUnit.period * 7}DAY`;
+                case 'month':
+                    return `${timeUnit.period}MTH`;
+                case 'year':
+                    return `${timeUnit.period}YRS`;
             }
@@ -59,5 +73,8 @@ throw new Error('Invalid granularity');
         switch ((granularity || '').toUpperCase()) {
-            case 'S': return { period, granularity: 'second' };
-            case 'D': return { period, granularity: 'day' };
-            case 'W': return { period, granularity: 'week' };
+            case 'S':
+                return { period, granularity: 'second' };
+            case 'D':
+                return { period, granularity: 'day' };
+            case 'W':
+                return { period, granularity: 'week' };
             case 'M':
@@ -83,5 +100,8 @@ if (period >= 12 && period % 12 === 0) {
         switch ((granularity || '').toUpperCase()) {
-            case 'SEC': return { period, granularity: 'second' };
-            case 'MIN': return { period, granularity: 'minute' };
-            case 'HRS': return { period, granularity: 'hour' };
+            case 'SEC':
+                return { period, granularity: 'second' };
+            case 'MIN':
+                return { period, granularity: 'minute' };
+            case 'HRS':
+                return { period, granularity: 'hour' };
             case 'DAY':
@@ -88,0 +108,0 @@ if (period >= 7 && period % 7 === 0) {

dist/utils.d.ts

 import { OHLCVTimeUnitGranularity, OHLCVTimeUnit } from './types';
 export declare function getGranularityDuration(granularity: OHLCVTimeUnitGranularity): number;
 export declare function getTimeUnitDuration(timeUnit: OHLCVTimeUnit): number;
+export declare function startOfGranularity(timestamp: number, granularity: OHLCVTimeUnitGranularity): number;
 export declare function startOfTimeUnit(timestamp: number, timeUnit: OHLCVTimeUnit): number;
+export declare function startOfClosestTimeUnit(timestamp: number, timeUnit: OHLCVTimeUnit): number;
 export declare function getTimeUnitStartsInRange(start: number, end: number, timeUnit: OHLCVTimeUnit, inclusion?: 'inclusive' | 'exclusive'): number[];

dist/utils.js

 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
-exports.getTimeUnitStartsInRange = exports.startOfTimeUnit = exports.getTimeUnitDuration = exports.getGranularityDuration = void 0;
+exports.getTimeUnitStartsInRange = exports.startOfClosestTimeUnit = exports.startOfTimeUnit = exports.startOfGranularity = exports.getTimeUnitDuration = exports.getGranularityDuration = void 0;
 const tslib_1 = require("tslib");
@@ -26,29 +26,46 @@ const moment_1 = tslib_1.__importDefault(require("moment"));
 function getTimeUnitDuration(timeUnit) {
-    return getGranularityDuration(timeUnit.granularity) * timeUnit.period;
+    return Math.round(getGranularityDuration(timeUnit.granularity) * timeUnit.period);
 }
 exports.getTimeUnitDuration = getTimeUnitDuration;
-function startOfTimeUnit(timestamp, timeUnit) {
-    const timeUnitDuration = getTimeUnitDuration(timeUnit);
-    const intervalStartTimestamp = timeUnit.period === 1 ? timestamp : Math.floor(timestamp / timeUnitDuration) * timeUnitDuration;
-    switch (timeUnit.granularity) {
+function startOfGranularity(timestamp, granularity) {
+    switch (granularity) {
         case 'second':
-            return moment_1.default(intervalStartTimestamp).utc().startOf('second').valueOf();
+            return moment_1.default(timestamp).utc().startOf('second').valueOf();
         case 'minute':
-            return moment_1.default(intervalStartTimestamp).utc().startOf('minute').valueOf();
+            return moment_1.default(timestamp).utc().startOf('minute').valueOf();
         case 'hour':
-            return moment_1.default(intervalStartTimestamp).utc().startOf('hour').valueOf();
+            return moment_1.default(timestamp).utc().startOf('hour').valueOf();
         case 'day':
-            return moment_1.default(intervalStartTimestamp).utc().startOf('day').valueOf();
+            return moment_1.default(timestamp).utc().startOf('day').valueOf();
         case 'week':
-            return moment_1.default(intervalStartTimestamp).utc().startOf('isoWeek').valueOf();
+            return moment_1.default(timestamp).utc().startOf('isoWeek').valueOf();
         case 'month':
-            return moment_1.default(intervalStartTimestamp).utc().startOf('month').valueOf();
+            return moment_1.default(timestamp).utc().startOf('month').valueOf();
         case 'year':
-            return moment_1.default(intervalStartTimestamp).utc().startOf('year').valueOf();
+            return moment_1.default(timestamp).utc().startOf('year').valueOf();
     }
 }
+exports.startOfGranularity = startOfGranularity;
+function startOfTimeUnit(timestamp, timeUnit) {
+    const timeUnitDuration = getTimeUnitDuration(timeUnit);
+    const intervalStartTimestamp = timeUnit.period === 1 ? timestamp : Math.floor(timestamp / timeUnitDuration) * timeUnitDuration;
+    return startOfGranularity(intervalStartTimestamp, timeUnit.granularity);
+}
 exports.startOfTimeUnit = startOfTimeUnit;
+function startOfClosestTimeUnit(timestamp, timeUnit) {
+    const timeUnitDuration = getTimeUnitDuration(timeUnit);
+    const timestamp1 = timestamp;
+    const timestamp2 = Math.round(timestamp + Math.round(timeUnitDuration / 2));
+    const intervalStartTimestamp1 = timeUnit.period === 1 ? timestamp1 : Math.floor(timestamp1 / timeUnitDuration) * timeUnitDuration;
+    const intervalStartTimestamp2 = timeUnit.period === 1 ? timestamp2 : Math.floor(timestamp2 / timeUnitDuration) * timeUnitDuration;
+    const answer1 = startOfGranularity(intervalStartTimestamp1, timeUnit.granularity);
+    const answer2 = startOfGranularity(intervalStartTimestamp2, timeUnit.granularity);
+    const distance1 = Math.abs(answer1 - timestamp);
+    const distance2 = Math.abs(answer2 - timestamp);
+    return distance1 <= distance2 ? answer1 : answer2;
+}
+exports.startOfClosestTimeUnit = startOfClosestTimeUnit;
 function getTimeUnitStartsInRange(start, end, timeUnit, inclusion = 'inclusive') {
-    const initialTimeUnitStart = startOfTimeUnit(start, timeUnit);
-    const finalTimeUnitStart = startOfTimeUnit(end, timeUnit);
+    const initialTimeUnitStart = startOfClosestTimeUnit(start, timeUnit) === start ? start : startOfTimeUnit(start, timeUnit);
+    const finalTimeUnitStart = startOfClosestTimeUnit(end, timeUnit) === end ? end : startOfTimeUnit(end, timeUnit);
     const timeUnitDuration = getTimeUnitDuration(timeUnit);
@@ -59,9 +76,13 @@ const result = [];
     }
-    let currentTimeUnitStart = initialTimeUnitStart + timeUnitDuration;
+    let currentTimeUnitStart = startOfClosestTimeUnit(Math.round(initialTimeUnitStart + timeUnitDuration), timeUnit);
     while (currentTimeUnitStart < finalTimeUnitStart) {
-        const correctedTimeUnit = startOfTimeUnit(Math.round(currentTimeUnitStart), timeUnit);
-        if (result.length === 0 || correctedTimeUnit !== result[result.length - 1]) {
-            result.push(correctedTimeUnit);
+        if (result.length === 0 || currentTimeUnitStart !== result[result.length - 1]) {
+            result.push(currentTimeUnitStart);
         }
-        currentTimeUnitStart += timeUnitDuration;
+        const nextTimeUnit = startOfClosestTimeUnit(Math.round(currentTimeUnitStart + timeUnitDuration), timeUnit);
+        // This prevents cases where there are no intervals between start and end and the closets time unit stays the same
+        if (nextTimeUnit === currentTimeUnitStart) {
+            break;
+        }
+        currentTimeUnitStart = nextTimeUnit;
     }
@@ -68,0 +89,0 @@ if (inclusion === 'inclusive') {

dist/utils.spec.js

@@ -9,2 +9,6 @@ "use strict";
     describe('getTimeUnitStartsInRange', () => {
+        it('Should return empty array when exclusive with no units in between', () => {
+            const range = utils_1.getTimeUnitStartsInRange(moment_1.default.utc({ y: 2020, M: 0, d: 1 }).valueOf(), moment_1.default.utc({ y: 2020, M: 0, d: 2 }).valueOf(), { granularity: 'day', period: 1 }, 'exclusive');
+            chai_1.expect(range).to.deep.equal([]);
+        });
         it('Should the correct time units in a given inclusive range', () => {
@@ -16,46 +20,127 @@ const range = utils_1.getTimeUnitStartsInRange(moment_1.default.utc({ y: 2020, M: 0, d: 1 }).valueOf(), moment_1.default.utc({ y: 2020, M: 0, d: 2 }).valueOf(), {
             const expectedOutput = [
-                new Date('2020-01-01T00:00:00.000Z').getTime(),
-                new Date('2020-01-01T04:00:00.000Z').getTime(),
-                new Date('2020-01-01T08:00:00.000Z').getTime(),
-                new Date('2020-01-01T12:00:00.000Z').getTime(),
-                new Date('2020-01-01T16:00:00.000Z').getTime(),
-                new Date('2020-01-01T20:00:00.000Z').getTime(),
-                new Date('2020-01-02T00:00:00.000Z').getTime(),
+                '2020-01-01T00:00:00.000Z',
+                '2020-01-01T04:00:00.000Z',
+                '2020-01-01T08:00:00.000Z',
+                '2020-01-01T12:00:00.000Z',
+                '2020-01-01T16:00:00.000Z',
+                '2020-01-01T20:00:00.000Z',
+                '2020-01-02T00:00:00.000Z',
             ];
-            chai_1.expect(range).to.deep.equal(expectedOutput);
+            chai_1.expect(range.map(n => new Date(n).toISOString())).to.deep.equal(expectedOutput);
         });
         it('Should the correct time units in a given exclusive range', () => {
-            const range = utils_1.getTimeUnitStartsInRange(moment_1.default.utc({ y: 2020, M: 0, d: 1 }).valueOf(), moment_1.default.utc({ y: 2020, M: 0, d: 2 }).valueOf(), {
-                granularity: 'hour',
-                period: 4,
-            }, 'exclusive');
+            const range = utils_1.getTimeUnitStartsInRange(moment_1.default.utc({ y: 2020, M: 0, d: 1 }).valueOf(), moment_1.default.utc({ y: 2020, M: 0, d: 2 }).valueOf(), { granularity: 'hour', period: 4 }, 'exclusive');
             const expectedOutput = [
-                new Date('2020-01-01T04:00:00.000Z').getTime(),
-                new Date('2020-01-01T08:00:00.000Z').getTime(),
-                new Date('2020-01-01T12:00:00.000Z').getTime(),
-                new Date('2020-01-01T16:00:00.000Z').getTime(),
-                new Date('2020-01-01T20:00:00.000Z').getTime(),
+                '2020-01-01T04:00:00.000Z',
+                '2020-01-01T08:00:00.000Z',
+                '2020-01-01T12:00:00.000Z',
+                '2020-01-01T16:00:00.000Z',
+                '2020-01-01T20:00:00.000Z',
             ];
-            chai_1.expect(range).to.deep.equal(expectedOutput);
+            chai_1.expect(range.map(n => new Date(n).toISOString())).to.deep.equal(expectedOutput);
         });
         it('Should work as expected with daily intervals', () => {
-            const range = utils_1.getTimeUnitStartsInRange(moment_1.default.utc({ y: 2020, M: 0, d: 1 }).valueOf(), moment_1.default.utc({ y: 2020, M: 0, d: 5 }).valueOf(), {
-                granularity: 'day',
-                period: 1,
-            }, 'exclusive');
+            const range = utils_1.getTimeUnitStartsInRange(moment_1.default.utc({ y: 2020, M: 0, d: 1 }).valueOf(), moment_1.default.utc({ y: 2020, M: 0, d: 5 }).valueOf(), { granularity: 'day', period: 1 }, 'exclusive');
+            const expectedOutput = ['2020-01-02T00:00:00.000Z', '2020-01-03T00:00:00.000Z', '2020-01-04T00:00:00.000Z'];
+            chai_1.expect(range.map(n => new Date(n).toISOString())).to.deep.equal(expectedOutput);
+        });
+        it('Should work as expected with daily intervals with period of 8', () => {
+            const range = utils_1.getTimeUnitStartsInRange(moment_1.default.utc({ y: 2020, M: 0, d: 1 }).valueOf(), moment_1.default.utc({ y: 2020, M: 2, d: 17 }).valueOf(), { granularity: 'day', period: 8 }, 'exclusive');
             const expectedOutput = [
-                new Date('2020-01-02T00:00:00.000Z').getTime(),
-                new Date('2020-01-03T00:00:00.000Z').getTime(),
-                new Date('2020-01-04T00:00:00.000Z').getTime(),
+                '2020-01-03T00:00:00.000Z',
+                '2020-01-11T00:00:00.000Z',
+                '2020-01-19T00:00:00.000Z',
+                '2020-01-27T00:00:00.000Z',
+                '2020-02-04T00:00:00.000Z',
+                '2020-02-12T00:00:00.000Z',
+                '2020-02-20T00:00:00.000Z',
+                '2020-02-28T00:00:00.000Z',
+                '2020-03-07T00:00:00.000Z',
             ];
-            chai_1.expect(range).to.deep.equal(expectedOutput);
+            chai_1.expect(range.map(n => new Date(n).toISOString())).to.deep.equal(expectedOutput);
         });
-        it('Should return empty array when exclusive with no units in between', () => {
-            const range = utils_1.getTimeUnitStartsInRange(moment_1.default.utc({ y: 2020, M: 0, d: 1 }).valueOf(), moment_1.default.utc({ y: 2020, M: 0, d: 2 }).valueOf(), {
-                granularity: 'day',
-                period: 1,
-            }, 'exclusive');
-            chai_1.expect(range).to.deep.equal([]);
+        it('Should work as expected with weekly intervals', () => {
+            const range = utils_1.getTimeUnitStartsInRange(moment_1.default.utc({ y: 2020, M: 0, d: 1 }).valueOf(), moment_1.default.utc({ y: 2020, M: 2, d: 17 }).valueOf(), { granularity: 'week', period: 1 }, 'inclusive');
+            const expectedOutput = [
+                '2019-12-30T00:00:00.000Z',
+                '2020-01-06T00:00:00.000Z',
+                '2020-01-13T00:00:00.000Z',
+                '2020-01-20T00:00:00.000Z',
+                '2020-01-27T00:00:00.000Z',
+                '2020-02-03T00:00:00.000Z',
+                '2020-02-10T00:00:00.000Z',
+                '2020-02-17T00:00:00.000Z',
+                '2020-02-24T00:00:00.000Z',
+                '2020-03-02T00:00:00.000Z',
+                '2020-03-09T00:00:00.000Z',
+                '2020-03-16T00:00:00.000Z',
+            ];
+            chai_1.expect(range.map(n => new Date(n).toISOString())).to.deep.equal(expectedOutput);
         });
+        it('Should work as expected with weekly intervals with period of 3', () => {
+            const range = utils_1.getTimeUnitStartsInRange(moment_1.default.utc({ y: 2020, M: 0, d: 1 }).valueOf(), moment_1.default.utc({ y: 2020, M: 2, d: 17 }).valueOf(), { granularity: 'week', period: 3 }, 'inclusive');
+            const expectedOutput = [
+                '2019-12-16T00:00:00.000Z',
+                '2020-01-06T00:00:00.000Z',
+                '2020-01-27T00:00:00.000Z',
+                '2020-02-17T00:00:00.000Z',
+                '2020-03-09T00:00:00.000Z',
+            ];
+            chai_1.expect(range.map(n => new Date(n).toISOString())).to.deep.equal(expectedOutput);
+        });
+        it('Should work as expected with monthly intervals', () => {
+            const range = utils_1.getTimeUnitStartsInRange(moment_1.default.utc({ y: 2018, M: 0, d: 1 }).valueOf(), moment_1.default.utc({ y: 2020, M: 6, d: 1 }).valueOf(), { granularity: 'month', period: 1 }, 'inclusive');
+            const expectedOutput = [
+                '2018-01-01T00:00:00.000Z',
+                '2018-02-01T00:00:00.000Z',
+                '2018-03-01T00:00:00.000Z',
+                '2018-04-01T00:00:00.000Z',
+                '2018-05-01T00:00:00.000Z',
+                '2018-06-01T00:00:00.000Z',
+                '2018-07-01T00:00:00.000Z',
+                '2018-08-01T00:00:00.000Z',
+                '2018-09-01T00:00:00.000Z',
+                '2018-10-01T00:00:00.000Z',
+                '2018-11-01T00:00:00.000Z',
+                '2018-12-01T00:00:00.000Z',
+                '2019-01-01T00:00:00.000Z',
+                '2019-02-01T00:00:00.000Z',
+                '2019-03-01T00:00:00.000Z',
+                '2019-04-01T00:00:00.000Z',
+                '2019-05-01T00:00:00.000Z',
+                '2019-06-01T00:00:00.000Z',
+                '2019-07-01T00:00:00.000Z',
+                '2019-08-01T00:00:00.000Z',
+                '2019-09-01T00:00:00.000Z',
+                '2019-10-01T00:00:00.000Z',
+                '2019-11-01T00:00:00.000Z',
+                '2019-12-01T00:00:00.000Z',
+                '2020-01-01T00:00:00.000Z',
+                '2020-02-01T00:00:00.000Z',
+                '2020-03-01T00:00:00.000Z',
+                '2020-04-01T00:00:00.000Z',
+                '2020-05-01T00:00:00.000Z',
+                '2020-06-01T00:00:00.000Z',
+                '2020-07-01T00:00:00.000Z',
+            ];
+            chai_1.expect(range.map(n => new Date(n).toISOString())).to.deep.equal(expectedOutput);
+        });
+        it('Should work as expected with quarterly intervals', () => {
+            const range = utils_1.getTimeUnitStartsInRange(moment_1.default.utc({ y: 2018, M: 0, d: 1 }).valueOf(), moment_1.default.utc({ y: 2020, M: 6, d: 1 }).valueOf(), { granularity: 'month', period: 3 }, 'inclusive');
+            const expectedOutput = [
+                '2018-01-01T00:00:00.000Z',
+                '2018-04-01T00:00:00.000Z',
+                '2018-07-01T00:00:00.000Z',
+                '2018-10-01T00:00:00.000Z',
+                '2019-01-01T00:00:00.000Z',
+                '2019-04-01T00:00:00.000Z',
+                '2019-07-01T00:00:00.000Z',
+                '2019-10-01T00:00:00.000Z',
+                '2020-01-01T00:00:00.000Z',
+                '2020-04-01T00:00:00.000Z',
+                '2020-07-01T00:00:00.000Z',
+            ];
+            chai_1.expect(range.map(n => new Date(n).toISOString())).to.deep.equal(expectedOutput);
+        });
     });
 });

package.json

 {
   "name": "@aurox/ohlcv-helpers",
-  "version": "0.3.1",
+  "version": "0.4.0",
   "description": "",
@@ -20,16 +20,22 @@ "main": "dist/index.js",
   "dependencies": {
-    "@types/node": "^14.0.14",
+    "@types/node": "^14.0.27",
     "avl": "^1.4.4",
     "moment": "^2.27.0",
-    "tslib": "^2.0.0"
+    "tslib": "^2.0.1"
   },
   "devDependencies": {
-    "@types/chai": "^4.2.11",
-    "@types/mocha": "^7.0.2",
+    "@types/chai": "^4.2.12",
+    "@types/mocha": "^8.0.2",
+    "@typescript-eslint/eslint-plugin": "^3.9.0",
+    "@typescript-eslint/parser": "^3.9.0",
     "chai": "^4.2.0",
-    "mocha": "^8.0.1",
+    "eslint": "^7.6.0",
+    "eslint-config-prettier": "^6.11.0",
+    "eslint-plugin-prettier": "^3.1.4",
+    "mocha": "^8.1.1",
+    "prettier": "^2.0.5",
     "rimraf": "^3.0.2",
     "ts-node": "^8.10.2",
-    "typescript": "^3.9.5"
+    "typescript": "^3.9.7"
   }
 }

No alert changes

Improved metrics

Total package byte prevSize

36464

increased by25.04%

Lines of code

762

increased by20.19%

Worsened metrics

Dev dependency count

13

increased by85.71%

Dependency changes

• Updated@types/node@^14.0.27

• Updatedtslib@^2.0.1